Simon Walther

Karlsruhe Institute of Technology

Bluecherstrasse 17

Karlsruhe, Baden Württemberg 76131

Germany

Universal-Investment-Luxembourg S.A. Niederlassung Frankfurt am Main

Theodor-Heuss-Allee 70

Frankfurt am Main, 60486

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

538

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Option-Implied Information: What's the Vol Surface Got to Do With It?

Number of pages: 32 Posted: 11 Jun 2018 Last Revised: 25 Jan 2019
Maxim Ulrich and Simon Walther
Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 259 (147,486)
Citation 1

Abstract:

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option-implied, risk-neutral variance, risk-neutral density, tail risk, option standardization, interpolation, performance measurement

2.

Forward-looking P

Number of pages: 37 Posted: 17 Aug 2019
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology, ETH Zürich and Karlsruhe Institute of Technology
Downloads 243 (156,950)
Citation 1

Abstract:

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physical density, density prediction, neural network, option-implied, forward-looking, return forecast, variance forecast, machine learning

3.

Characteristics of Model-Free Pricing Kernels

Number of pages: 41 Posted: 09 Jan 2021
Maxim Ulrich and Simon Walther
Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 36 (537,908)

Abstract:

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pricing kernel, model-free, density estimator, neural networks